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Q159Section III (Statistics)159 of 180

When a quadratic form is not chi-square

Suppose X‾3×1∼Normal3(μ‾,Σ)\uline{X}_{3\times1}\sim\text{Normal}_3(\uline{\mu},\Sigma) and

Y=X12−X22+X32+0.5X1X3.Y=X_1^{2}-X_2^{2}+X_3^{2}+0.5X_1X_3 .

Then the probability distribution of YY is:

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